Risk-free rate mapping

The risk-free rate is the theoretical interest rate an investment would earn without any default risk. GT uses it as the reference for risk-adjusted metrics — today exclusively for the Sharpe ratio in Return and statistical data. Further evaluations that consume a risk-free rate are conceivable but not yet implemented.

In this mapping, every supported ISO currency is linked to a dedicated security whose closing prices represent the risk-free rate for that currency. Values are stored as decimal fractions — 4.32 % therefore corresponds to a closing price of 0.0432.

Data model

A mapping row is the unique bridge between a currency and its risk-free security. The price history of that security is supplied by the FRED data provider and stored in the standard historical price table.

erDiagram
    Currency ||--|| Mapping : "is key of"
    Mapping ||--|| Security : "points to"
    Security ||--o{ Historical-Quote : "supplies rate"

The security lives in the dedicated asset class Risk-free rate at the purpose-built stock exchange Risk-Free Rate Sources. It is not tradable — it acts solely as a container for the rate history.

Pre-seeded mappings

After the first start of GT five major currencies are already mapped. Their closing prices are sourced from the following FRED series:

Operation

The mapping is reached from the navigation tree under Base data → Risk-free rate mapping. The table has three columns:

• Currency — pick from the ISO currencies known to the system. A currency that is already used in another row no longer appears in the dropdown. The currency cannot be changed once the row has been saved — to correct a wrong assignment, delete the row and create it again.
• Risk-free instrument — pick from the existing risk-free securities. The list is restricted to securities whose own currency matches the chosen Currency column; an instrument already used in another row is hidden. When you switch the currency, this column is cleared automatically and has to be set again.
• FRED series ID — derived display of the series identifier of the chosen instrument; not directly editable.

A new row is added through the plus icon in the table header. An existing row is edited through the pencil icon at the end of the row, or deleted through the trash icon.

User rights

Every authenticated user may read the table and create new rows. Existing rows may only be edited or deleted by the creator; in addition, users with the role Administrator or without limits have full access to all rows. Users with the role Limits are further capped at two changes per day — this cap is governed by the global parameter gt.limit.day.RiskFreeRateMapping.

Adding a new currency

To add a risk-free rate for an additional currency, first create the synthetic security through normal security management with asset class Risk-free rate and stock exchange Risk-Free Rate Sources. Once historical prices are available for that security, it can be mapped to a currency in this table and will appear as a choice in the Risk-free instrument column.